Java math package for inverse cumulative distributions of skewed normal together with poisson and exponential

Question

I am looking for a package that provides mathematical functions for the non-symmetrical (skewed) normal distribution and also the poisson and exponential distributions.

I originally looked at the Colt package but it does not provide the inverse cumulative function.

So I changed to Apache Commons Math3 which provides a much more comprehensive set of functionality, including the inverse cumulative probability of all distributions.

However, now I hit a wall again because I need the Normal Distribution to be parametrized for a non symmetric shape (i.e. left part of the mean is different than the right part of the mean). Are you aware of any package that supports all the above?

Parmenides

Answer 1

We have worked with JSC, and SSJ. Both have many distribution functions and its respectives inverse functions.

Eveliaevelin

Thanks for the information. However I can't seem to find any reference to a Normal Distribution that takes the skew/kurtosis parameters in both of the packages. – Parmenides

Answer 2

Seems like such a library is hard to find. How about implementing it by yourself? Have a look at Numerical Recipes. The 2nd edition of the book is freely available.

Corse